ESTIMASI VAR

Uji t-statistik inflasi

Null Hypothesis: D(INFLASI) has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=9)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.462224 0.0010

Test critical values: 1% level -3.621023
5% level -2.943427
10% level -2.610263

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(INFLASI,2)
Method: Least Squares
Date: 11/30/18 Time: 20:24
Sample (adjusted): 3 39
Included observations: 37 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(INFLASI(-1)) -0.723546 0.162149 -4.462224 0.0001

C 0.007830 0.015095 0.518740 0.6072

Pada tingkat first difference data lolos karena prob di bawah 0.05

Uji t-Statistic kurs

Null Hypothesis: D(KURS) has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=9)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -5.233031 0.0001

Test critical values: 1% level -3.621023
5% level -2.943427
10% level -2.610263

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(KURS,2)
Method: Least Squares
Date: 11/30/18 Time: 20:28
Sample (adjusted): 3 39
Included observations: 37 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(KURS(-1)) -0.977381 0.186772 -5.233031 0.0000

C 0.007800 0.003870 2.015372 0.0516

R-squared 0.438964 Mean dependent var 0.001719

Adjusted R-squared 0.422935 S.D. dependent var 0.029559
S.E. of regression 0.022455 Akaike info criterion -4.702094
Sum squared resid 0.017647 Schwarz criterion -4.615018
Log likelihood 88.98875 Hannan-Quinn criter. -4.671396
F-statistic 27.38461 Durbin-Watson stat 1.825030
Prob(F-statistic) 0.000008

Pada tingkat first difference data lolos karena prob di bawah 0.05

Uji t-Statistic rSBI

Null Hypothesis: D(SBI) has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=9)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.288072 0.0017

Test critical values: 1% level -3.621023
5% level -2.943427
10% level -2.610263

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(SBI,2)
Method: Least Squares
Date: 11/30/18 Time: 20:33
Sample (adjusted): 3 39
Included observations: 37 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(SBI(-1)) -0.698501 0.162894 -4.288072 0.0001

C -0.020375 0.013776 -1.479013 0.1481

R-squared 0.344417 Mean dependent var -0.001300

Adjusted R-squared 0.325686 S.D. dependent var 0.096578
S.E. of regression 0.079307 Akaike info criterion -2.178452
Sum squared resid 0.220134 Schwarz criterion -2.091375
Log likelihood 42.30136 Hannan-Quinn criter. -2.147753
F-statistic 18.38756 Durbin-Watson stat 1.868046
Prob(F-statistic) 0.000135

Pada tingkat first difference data lolos karena prob di bawah 0.05
Uji panjang lag optimal dan penentuan variabel dependen

Vector Autoregression Estimates

Date: 11/30/18 Time: 20:35
Sample (adjusted): 4 39
Included observations: 36 after adjustments
Standard errors in ( ) & t-statistics in [ ]

D(INFLASI) D(KURS) D(SBI)

D(INFLASI(-1)) 0.335235 0.091097 0.018406

(0.18050) (0.03934) (0.14216)
[ 1.85723] [ 2.31547] [ 0.12948]

D(INFLASI(-2)) -0.161803 0.034220 0.350916

(0.20084) (0.04378) (0.15817)
[-0.80563] [ 0.78171] [ 2.21859]

D(KURS(-1)) -0.021877 -0.211591 -0.717950

(0.91733) (0.19994) (0.72244)
[-0.02385] [-1.05826] [-0.99378]

D(KURS(-2)) 0.439361 0.335556 -1.137917

(0.88591) (0.19310) (0.69770)
[ 0.49594] [ 1.73777] [-1.63095]

D(SBI(-1)) 0.087348 -0.014328 0.300150

(0.20875) (0.04550) (0.16440)
[ 0.41844] [-0.31491] [ 1.82574]

D(SBI(-2)) -0.065496 0.036787 -0.204930

(0.21388) (0.04662) (0.16844)
[-0.30623] [ 0.78911] [-1.21662]

C 0.003578 0.005963 -0.015535

(0.01887) (0.00411) (0.01486)
[ 0.18957] [ 1.44970] [-1.04520]

R-squared 0.116153 0.272432 0.302262

Adj. R-squared -0.066711 0.121901 0.157903
Sum sq. Resids 0.270345 0.012843 0.167678
S.E. equation 0.096552 0.021045 0.076039
F-statistic 0.635188 1.809804 2.093816
Log likelihood 36.96656 91.81025 45.56434
Akaike AIC -1.664809 -4.711681 -2.142464
Schwarz SC -1.356902 -4.403774 -1.834557
Mean dependent 0.007760 0.007898 -0.027596
S.D. dependent 0.093484 0.022458 0.082862

Determinant resid covariance (dof adj.) 2.36E-08

Determinant resid covariance 1.23E-08
Log likelihood 174.5646
Akaike information criterion -8.531364
Schwarz criterion -7.607645

Untuk menentukan Variable dependen kita dapat melihat pada R-square terbesar
Uji panjang lag

VAR Lag Order Selection Criteria

Endogenous variables: D(INFLASI) D(KURS) D(SBI)
Exogenous variables: C
Date: 11/30/18 Time: 20:39
Sample: 1 39
Included observations: 36

Lag LogL LR FPE AIC SC HQ

0 160.6348 NA* 3.16e-08* -8.757491* -8.625531* -8.711433*

1 166.8073 10.97326 3.70e-08 -8.600405 -8.072565 -8.416175
2 174.5646 12.49782 4.02e-08 -8.531364 -7.607645 -8.208962

* indicates lag order selected by the criterion

LR: sequential modified LR test statistic (each test at 5% level)
FPE: Final prediction error
AIC: Akaike information criterion
SC: Schwarz information criterion
HQ: Hannan-Quinn information criterion

dari uji panjang lag di atas kita bisa menentukan panjang lag optimal melalui banyaknya bintang
pada priode tersebut.

Uji kointegrasion tes

Date: 11/30/18 Time: 20:55

Sample (adjusted): 5 39
Included observations: 35 after adjustments
Trend assumption: Linear deterministic trend
Series: D(INFLASI) D(KURS) D(SBI)
Lags interval (in first differences): 1 to 2

Unrestricted Cointegration Rank Test (Trace)

Hypothesized Trace 0.05

No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None * 0.395167 31.70173 29.79707 0.0298

At most 1 0.245587 14.10362 15.49471 0.0801
At most 2 * 0.114095 4.240092 3.841466 0.0395

Trace test indicates 1 cointegrating eqn(s) at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegration Rank Test (Maximum Eigenvalue)

Hypothesized Max-Eigen 0.05

No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
 None 0.395167 17.59810 21.13162 0.1456
At most 1 0.245587 9.863531 14.26460 0.2210
At most 2 * 0.114095 4.240092 3.841466 0.0395

Max-eigenvalue test indicates no cointegration at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):

D(INFLASI) D(KURS) D(SBI)

-9.942316 10.85719 18.45072
-14.48920 1.327457 -8.597321
9.774813 -96.16771 -1.362797

Unrestricted Adjustment Coefficients (alpha):

D(INFLASI,2) 0.031769 0.043404 -0.001092

D(KURS,2) 0.007538 -0.002116 0.003711
D(SBI,2) -0.037278 0.014875 0.015667

1 Cointegrating Equation(s): Log likelihood 172.2471

Normalized cointegrating coefficients (standard error in parentheses)

D(INFLASI) D(KURS) D(SBI)
1.000000 -1.092018 -1.855777
(1.93827) (0.48092)

Adjustment coefficients (standard error in parentheses)

D(INFLASI,2) -0.315854
(0.18379)
D(KURS,2) -0.074941
(0.02876)
D(SBI,2) 0.370627
(0.13770)

2 Cointegrating Equation(s): Log likelihood 177.1788

Normalized cointegrating coefficients (standard error in parentheses)

D(INFLASI) D(KURS) D(SBI)
1.000000 0.000000 0.817653
(0.51060)
0.000000 1.000000 2.448156
(0.66832)

Adjustment coefficients (standard error in parentheses)

D(INFLASI,2) -0.944738 0.402534
(0.28978) (0.18037)
D(KURS,2) -0.044281 0.079028
(0.05032) (0.03132)
D(SBI,2) 0.155101 -0.384986
(0.23812) (0.14822)

untuk menentukan lolos atau tidaknya kita dapat melihat pada probabilitas atau tanda bintang pada at
most
Uji causalitas granger

Pairwise Granger Causality Tests

Date: 11/30/18 Time: 21:06
Sample: 1 39
Lags: 2

Null Hypothesis: Obs F-Statistic Prob.

KURS does not Granger Cause INFLASI 37 1.31728 0.2820

INFLASI does not Granger Cause KURS 2.17420 0.1302

SBI does not Granger Cause INFLASI 37 1.16034 0.3262

INFLASI does not Granger Cause SBI 0.47517 0.6261

SBI does not Granger Cause KURS 37 0.04046 0.9604

KURS does not Granger Cause SBI 1.32083 0.2811

Estimation model

Dependent Variable: D(INFLASI)

Method: Least Squares
Date: 11/30/18 Time: 21:23
Sample (adjusted): 2 37
Included observations: 36 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

C 0.006741 0.014921 0.451790 0.6544

D(KURS(1)) 2.184828 0.679189 3.216819 0.0029
D(SBI(2)) 0.366022 0.166372 2.200020 0.0349

R-squared 0.307008 Mean dependent var 0.010584

Adjusted R-squared 0.265009 S.D. dependent var 0.095049
S.E. of regression 0.081487 Akaike info criterion -2.097088
Sum squared resid 0.219125 Schwarz criterion -1.965128
Log likelihood 40.74758 Hannan-Quinn criter. -2.051030
F-statistic 7.309800 Durbin-Watson stat 1.749751
Prob(F-statistic) 0.002355